Evidence of Carry Trade Activity

Heath, Alexandra; Galati, Gabriele; McGuire, Patrick

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Evidence of Carry Trade Activity

BIS Quarterly Review, September 2007

15 Pages Posted: 28 Jun 2012 Last revised: 11 Mar 2012

See all articles by Alexandra Heath

Alexandra Heath

Reserve Bank of Australia - Economic Research

Patrick McGuire

Bank for International Settlements (BIS)

Date Written: September 1, 2007

Abstract

Interest rate differentials have been a driving force behind exchange rate movements in recent years. This has focused market attention on the role of currency carry trade positions, and on the possibility that a sudden unwinding might adversely affect financial stability. However, carry trades are notoriously difficult to track in the available data. This special feature first outlines the investor base and trading strategies used in carry trades, and then explores various sources of data to gauge activity.

Keywords: carry trade, BIS banking statistics

JEL Classification: F31, F32, G15

Suggested Citation: Suggested Citation

Heath, Alexandra and Galati, Gabriele and McGuire, Patrick M., Evidence of Carry Trade Activity (September 1, 2007). BIS Quarterly Review, September 2007, Available at SSRN: https://ssrn.com/abstract=1490984